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Proof that Properly Anticipated Prices Fluctuate Randomly

In: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS

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  • Paul A. Samuelson

Abstract

By positing a rather general stochastic model of price change, I shall deduce a fairly sweeping theorem in which next-period's price differences are shown to be uncorrelated with (if not completely independent of) previous period's price differences. This martingale property of zero expected capital gain will then be replaced by the slightly more general case of a constant mean percentage gain per unit time.

Suggested Citation

  • Paul A. Samuelson, 2015. "Proof that Properly Anticipated Prices Fluctuate Randomly," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 2, pages 25-38, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814566926_0002
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    Cited by:

    1. Mohammad Abedi & Daniel Bartolomeo, 2019. "Entropic Dynamics of Stocks and European Options," Papers 1908.06355, arXiv.org.
    2. Shao, Mingao & Hua, Yongjun, 2022. "Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market," Energy Economics, Elsevier, vol. 112(C).
    3. Paulo Sergio Ceretta & Alexandre Silva Da costa, 2017. "The Gap Effect on the Brazilian Exchange," Economics Bulletin, AccessEcon, vol. 37(4), pages 2505-2516.

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